Job Description

Markets Quantitative Analysis (MQA) group at Citigroup is looking for a VP level candidate to join the Equity Derivative Corporate Quant team based in London.

Responsibilities
• Supporting the Corporate desks mainly in London but also in the other regions in a daily basis (helps in pricing new structures and doing pnl explanation, improve existing framework to handle new business needs….)
• Developing quantitative new pricing models, numerical methods. or improving existing ones in C++ following internal high coding standards and deliver in a timely manner to the production library following release process and testing requirements
• Developing Python tools for the business (what if scenarios, pnl explanation, risk representations…)
• Working with Quant Dev in building and maintaining the testing environment
• Write validation documents and address Model Validation group requirements and questions as a part of the validation process

Qualifications and skills
• Experience in Equity Corporate (BuyBack pricing and risk management, Collar modelling, Dividend/Borrow cost protection…) business would be good. Alternatively, experience in Equity exotic modelling and PDE pricing
• Strong quantitative skills (Stochastic Calculus, Numerical Methods (Monte Carlo, strong PDE knowledge), Statistics, Academic Pricing Models…)
• Strong programming C++/Python skills
• PHD or Masters in a quantitative financial mathematical discipline
• Team player and has the curiosity and ability to adapt and learn quickly internal systems and production libraries
• Meticulous when dealing with development, testing and release processes in a production environment as well as writing validation documents for new and existing models
• Strong Communication skills are a key in the day to day work within the team as well as internal teams we interact with (Business, Model validation….)
• Comfortable with working on projects with hard deadlines and deliver in time

This job description provides a high-level review of the types of work performed. Other job-related duties may be assigned as required.